-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, TKDkJNi5cLZOiqaLSGJwzkAe1lzklU2qiRxfvXfYZgnPWX2Moq3aJKpmAwcOCZq+ fHEU7Vneqp0tGd+LJlKqag== 0001104659-07-085682.txt : 20071129 0001104659-07-085682.hdr.sgml : 20071129 20071128195452 ACCESSION NUMBER: 0001104659-07-085682 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 14 FILED AS OF DATE: 20071129 DATE AS OF CHANGE: 20071128 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-134553 FILM NUMBER: 071272745 BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FWP 1 a07-28123_85fwp.htm FWP

Filed Pursuant to Rule 433

Registration No: 333-134553

 

 

FX Basket-Linked Note

 

 

 

 

Final Terms and Conditions

“BRICK Leveraged Appreciation Basket”

 

November 28, 2007

 

 

Contact: + 1 212 526 2237

 

Lehman Brothers Holdings Inc. has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus dated May 30, 2006, the prospectus supplement dated May 30, 2006 for its Medium Term Notes, Series I, and other documents Lehman Brothers Holdings Inc. has filed with the SEC for more complete information about Lehman Brothers Holdings Inc. and this offering.  Buyers should rely upon the prospectus, prospectus supplement and any relevant free writing prospectus for complete details.  You may get these documents and other documents Lehman Brothers Holdings Inc. has filed for free by searching the SEC online database (EDGAR®) at www.sec.gov with “Lehman Brothers Holdings Inc.” as a search term. You may also access the prospectus and Series I MTN prospectus supplement on the SEC web site as follows:

Series I MTN prospectus supplement dated May 30, 2006:

http://www.sec.gov/Archives/edgar/data/806085/000104746906007785/a2170815z424b2.htm

Prospectus dated May 30, 2006:

http://www.sec.gov/Archives/edgar/data/806085/000104746906007771/a2165526zs-3asr.htm

Alternatively, Lehman Brothers Inc. will arrange to send you the prospectus, Series I MTN prospectus supplement and final pricing supplement (when completed) if you request it by calling your Lehman Brothers sales representative or 1-888-603-5847.

 

Summary Description

This note allows an investor to hold via single basket a long position in the Brazilian Real (BRL), Russian Ruble (RUB), Indian Rupee (INR), Chinese Renminbi (CNY), and South Korean Won (KRW) (collectively, the “Reference Currencies”), relative to the U.S. dollar (USD). If, as of the Valuation Date, the Basket Return is greater than zero (that is, if the Reference Currencies have in aggregate appreciated relative to the USD on the Valuation Date), the investor will receive a single payment at maturity equal to the principal amount of the notes plus an additional return equal to the principal amount of the notes multiplied by the product of 250% (the Leverage) and the Basket Return. If the Basket Return on the Valuation Date is less than or equal to zero (that is, if the Reference Currencies have in aggregate depreciated or not appreciated relative to the USD on the Valuation Date), then the investor will receive at maturity only the principal amount of the notes, with no additional return. The notes do not bear interest and are 100% principal protected if held to maturity.

 

Issuer

 

Lehman Brothers Holdings Inc. (A1, A+, AA–)

 

Issue Size

 

USD 500,000 (increasing the total offering size to USD 2,136,000)

 

Issue Price

 

100%

 

Principal Protection

 

100% at the Maturity Date

 

Upsize Trade Date:

 

November 28, 2007

 

Original Trade Date

 

November 27, 2007

 

Issue Date

 

November 30, 2007

 

Valuation Date

 

November 23, 2009; provided that, upon the occurrence of a Disruption Event with respect to a Reference Currency, the Valuation Date for the affected Reference Currency may be postponed (as described in “Disruption Events” below).

 

Maturity Date

 

November 30, 2009

 

Reference Currencies

 

Brazilian Real (BRL), Russian Ruble (RUB), Indian Rupee (INR), Chinese Renminbi (CNY) and South Korean Won (KRW)

 

Reference Exchange

 

For each Reference Currency, the spot exchange rate for that Reference Currency quoted against

 


 

 

Rates

 

the U.S. dollar expressed as number of units of the Reference Currency per USD 1.

Leverage

 

250%

Redemption Amount

 

A single U.S. dollar payment on the Maturity Date equal to the principal amount of each note plus the Additional Amount, if any

Additional Amount

 

A single U.S. dollar amount equal to the principal amount of each note multiplied by:

 

 

Leverage * Basket Return

 

 

provided that the minimum Additional Amount payable on the notes shall be zero.

Basket Return

 

The sum of the Weighted Currency Returns for the Reference Currencies

Weighted Currency Returns

 

For each Reference Currency:

 

 

Weighting *

{

Initial Reference Currency Rate – Settlement Rate

}

 

 

 

Initial Reference Currency Rate

 

Weightings and Initial Reference Currency Rates

 

The Weighting and Initial Reference Currency Rate for each Reference Currency is as set forth below:

 

 

Reference Currency

Weighting

Initial Reference Currency Rate

 

 

BRL

20%

1.8501

 

 

RUB

20%

24.3242

 

 

INR

20%

39.85

 

 

CNY

20%

7.3872

 

 

KRW

20%

928.20

 

 

The Initial Reference Currency Rate for each Reference Currency is the Reference Exchange Rate for that Reference Currency determined by the Calculation Agent on the Original Trade Date.

Settlement Rate

 

For each Reference Currency, the Reference Exchange Rate on the Valuation Date, determined in accordance with the applicable Settlement Rate Option (subject to the occurrence of a Disruption Event). 

Settlement Rate Option and Valuation Business Day:

 

For each Reference Currency as set forth below:

 

 

Reference

 

 

 

 

Currency

Screen Reference

Valuation Business Day

 

 

BRL

BRFR

Brazilia, Rio de Janiero or
São Paulo

 

 

RUB

EMTA

Moscow

 

 

INR

RBIB

Mumbai

 

 

CNY

SAEC

Beijing

 

 

KRW

KFTC18

Seoul

 

 

For further information concerning the Settlement Rate Option and Valuation Business Day, see “Description of the Notes—Currency-Indexed Notes” in, and Appendix A to, the Series I MTN prospectus supplement.

Business Day

 

New York

Business Day

 

Following

 

 


 

 

Convention

 

 

Disruption Events

 

If a Disruption Event relating to one or more Reference Currencies is in effect on the scheduled Valuation Date, the Calculation Agent will calculate the Basket Return using:

 

 

•

for each Reference Currency that did not suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the scheduled Valuation Date, and

 

 

•

for each Reference Currency that did suffer a Disruption Event on the scheduled Valuation Date, the Settlement Rate on the immediately succeeding scheduled Valuation Business Day for such Reference Currency on which no Disruption Event occurs or is continuing with respect to such Reference Currency;

 

 

provided however that if a Disruption Event has occurred or is continuing with respect to a Reference Currency on each of the three scheduled Valuation Business Days following the scheduled Valuation Date, then (a) such third scheduled Valuation Business Day shall be deemed the Valuation Date for the affected Reference Currency; and (b) the Calculation Agent will determine the Settlement Rate for the affected Reference Currency on such day in accordance with “Fallback Rate Observation Methodology” (as defined under “Description of the Notes—Currency-Indexed Notes” in the Series I MTN prospectus supplement).

 

 

A “Disruption Event” means any of the following events with respect to a Reference Currency, as determined in good faith by the Calculation Agent:

 

 

(A)

the occurrence and/or existence of an event on any day that has the effect of preventing or making impossible the delivery of USD from accounts inside the Reference Currency Jurisdiction for that Reference Currency to accounts outside that Reference Currency Jurisdiction;

 

 

(B)

the occurrence of any event causing the Reference Exchange Rate for the Reference Currency to be split into dual or multiple currency exchange rates; or

 

 

(C)

the Settlement Rate being unavailable for the Reference Currency, or the occurrence of an event (i) in the Reference Currency Jurisdiction for that Reference Currency that materially disrupts the market for the Reference Currency or (ii) that generally makes it impossible to obtain the Settlement Rate for the Reference Currency, on the Valuation Date.

 

 

For purposes of the above, “scheduled Valuation Business Day” means a day that is or, in the judgment of the Calculation Agent, should have been, a Valuation Business Day for the affected Reference Currency.

Calculation Agent

 

Lehman Brothers Inc.

Underwriter

 

Lehman Brothers Inc.

Identifier

 

ISIN:  US5252M0AH0

 

 

CUSIP:  5252M0AH0

Settlement System

 

DTC

Denominations

 

USD 1,000 and whole multiples of USD 1,000

Issue Type

 

US MTN

Fees

 

 

Price to Public (1)

 

Fees (2)

 

Proceeds to the Issuer

 

 

Per note

$1,000

 

$22.5

 

$977.50

 

 

Total (3)

$500,000

 

$11,250

 

$488,750

 

 

(1)

The price to public includes the Lehman Brothers Holdings Inc.’s cost of hedging its obligations under the notes through one or more of its affiliates, which includes such affiliates expected cost of providing such hedge as well as the profit these affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.

 

 

(2)

Lehman Brothers Inc. will receive commissions of up to $22.50 per $1,000 principal amount, or of up to 2.25%,

 


 

 

 

 

 

and may use all or a portion of these commissions to pay selling concessions or fees to other dealers. Lehman Brothers Inc. and/or an affiliate may earn additional income as a result of payments pursuant to any hedges

 

 

(3)

The notes will be issued in an aggregate principal amount of $500,000 and will form a single tranche with the $1,636,000 aggregate principal amount of Medium-Term Notes, Series I, due November 30, 2009, that Lehman Brothers Holdings will issue on November 30, 2007. The notes will have the same CUSIP and ISIN numbers as the other notes of this tranche and will settle on the same date as, and trade interchangeably with, the other notes of this tranche. The issuance of the notes will increase the aggregate principal amount of this tranche to $2,136,000.

 

Risk Factors

 

An investment in the notes entails certain risks not associated with an investment in conventional floating rate or fixed rate medium-term notes.  See “Risk Factors” generally, and “Risk Factors—Risks Relating to Currency-Indexed Notes” specifically, in the Series I MTN prospectus supplement.

 

United States Federal Income Tax Treatment

 

Lehman Brothers Holdings Inc. intends to treat the notes as contingent payment debt instruments, as described under “Supplemental United States Federal Income Tax Consequences—Contingent Payment Debt Instruments” in the Series I MTN prospectus supplement.

 

 

 


 

Historical Exchange Rates

 

The following charts show the spot exchange rates for each Reference Currency at the end of each week in the period from the week ending November 21, 2004 through the week ending November 25, 2007, using historical data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of this data.  The spot exchange rates are expressed as the amount of U.S. dollars per Reference Currency to show the appreciation or depreciation, as the case may be, of the Reference Currency against the U.S. dollar.  The spot exchange rates used to calculate the Basket Return are expressed as the amount of Reference Currency per U.S. dollar, which are the inverse of the spot exchange rates presented in the following charts.  The historical data on each Reference Currency is not necessarily indicative of the future performance of the Reference Currencies, the Basket Return or what the value of the notes may be. Fluctuations in exchange rates make it difficult to predict whether the Additional Amount will be payable at maturity, or what that Additional Amount, if any, may be.  Historical exchange rate fluctuations may be greater or lesser than those experienced by the holders of the notes.

 

 

 


 


 


Hypothetical Historical Basket Return

The following charts show the hypothetical Basket Return at the end of each week in the period from the week ending November 21, 2007 through the week ending November 25, 2007, and through the Original Trade Date, based on the hypothetical composite performance of the Reference Currencies using data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of this data.  The Basket Return was indexed to a level of 0.0 on the Original Trade Date based upon the Initial Reference Exchange Rates determined on that day.  The composite value of the Reference Currencies on any prior day was obtained by using the calculation of the Basket Return described above. Spot exchange rates used in this determination are expressed as the number of units of Reference Currency per U.S. dollar.

 

 

 


 

 

Hypothetical Redemption Amount Payment Examples

 

The following payment examples for this note shows scenarios for the Redemption Amount payable at maturity of the notes, including scenarios under which an Additional Amount will or will not be payable, based on the the Leverage of 250% and the Initial Reference Currency Rates (each of which were determined on the Original Trade Date), as well as hypothetical values for the Settlement Rates (which will be determined on the Valuation Date), and the resulting hypothetical Basket Return.

 

 

The Settlement Rate values for the Reference Currencies have been chosen arbitrarily for the purpose of these examples, are not associated with Lehman Brothers Research forecasts for any Reference Currency/USD exchange rates and should not be taken as indicative of the future performance of any Reference Currency/USD exchange rate.

 


 

 

Example 1: BRL, RUB, INR, CNY and KRW each appreciate relative to its Initial Currency Rate, resulting in a Basket Return of 0.0720 (7.20%).  The Additional Amount is therefore 18.00%, and the Redemption Amount is equal to the product of 118.00%, times the principal amount of the notes.

 

Because the Basket Return is 0.0720, the Redemption Amount payable at maturity is equal to $1,180.00 per $1,000 note (reflecting an Additional Amount of $180.00 per note), calculated as follows:

 

Redemption Amount = $1,000 + ($1,000 * 250% * 0.0720) = $1,180.00.

 

The table below illustrates how the Basket Return in the above example was calculated:

 

 

 

Initial Reference

 

 

 

 

 

 

 

 

 

Currency Rate

 

 

 

Hypothetical

 

 

 

Reference

 

(on Original Trade

 

 

 

Settlement Rate

 

Weighted Currency

 

Currency

 

Date)

 

Weighting

 

(on Valuation Date)

 

Return

 

BRL

 

1.8501

 

20%

 

1.7206

 

0.0140

 

RUB

 

24.3242

 

20%

 

22.3783

 

0.0160

 

INR

 

39.85

 

20%

 

35.47

 

0.0220

 

CNY

 

7.3872

 

20%

 

6.9440

 

0.0120

 

KRW

 

928.20

 

20%

 

891.07

 

0.0080

 

 

 

 

 

 

 

Basket Return =

 

0.0720

 

 

Example 2: BRL, RUB, INR, CNY and KRW each depreciate relative to its Initial Currency Rate, resulting in a Basket Return of –0.0456 (–04.56%).  The Additional Amount is therefore 0%, and the Redemption Amount is equal to the product of 100%, times the principal amount of the notes.

 

Because the Basket Return is –0.0456, the Redemption Amount payable at maturity is equal to $1,000.00 per $1,000 note (reflecting an Additional Amount of 0% per note), the repayment of principal invested, with no additional return.

 

The table below illustrates how the Basket Return in the above example was calculated:

 

 

 

Initial Reference

 

 

 

 

 

 

 

 

 

Currency Rate

 

 

 

Hypothetical

 

 

 

Reference

 

(on Original Trade

 

 

 

Settlement Rate

 

Weighted Currency

 

Currency

 

Date)

 

Weighting

 

(on Valuation Date)

 

Return

 

BRL

 

1.8501

 

20%

 

1.9278

 

–0.0084

 

RUB

 

24.3242

 

20%

 

24.8350

 

–0.0042

 

INR

 

39.85

 

20%

 

42.08

 

–0.0112

 

CNY

 

7.3872

 

20%

 

7.9708

 

–0.0158

 

KRW

 

928.20

 

20%

 

956.05

 

–0.0060

 

 

 

 

 

 

 

Basket Return =

 

–0.0456

 

 


 

 

Example 3: BRL, RUB and KRW each appreciate relative to its Initial Reference Currency Rate, while INR and CNY each depreciate relative to its Initial Currency Rate, resulting in a Basket Return of 0.0310 (3.10%).  The Additional Amount is therefore 7.75%, and the Redemption Amount is equal to the product of 107.75%, times the principal amount of the notes.

 

Because the Basket Return is 0.0310, the Redemption Amount payable at maturity is equal to $1,077.50 per $1,000 note (reflecting an Additional Amount of $77.50 per note), calculated as follows:

 

Redemption Amount = $1,000 + ($1,000 * 250% * 0.0310) = $1,077.50.

 

The table below illustrates how the Basket Return in the above example was calculated:

 

 

 

Initial Reference

 

 

 

 

 

 

 

 

 

Currency Rate

 

 

 

Hypothetical

 

 

 

Reference

 

(on Original Trade

 

 

 

Settlement Rate

 

Weighted Currency

 

Currency

 

Date)

 

Weighting

 

(on Valuation Date)

 

Return

 

BRL

 

1.8501

 

20%

 

1.6614

 

0.0204

 

RUB

 

24.3242

 

20%

 

22.2810

 

0.0168

 

INR

 

39.85

 

20%

 

40.81

 

–0.0048

 

CNY

 

7.3872

 

20%

 

7.6605

 

–0.0074

 

KRW

 

928.20

 

20%

 

900.35

 

0.0060

 

 

 

 

 

 

 

Basket Return =

 

0.0310

 

 

 

Example 4: BRL, INR and KRW each depreciate relative to its Initial Reference Currency Rate while RUB and CNY each appreciate relative to its Initial Reference Currency Rate, resulting in a Basket Return of –0.0272 (–2.72%).  The Additional Amount is therefore equal to 0%, and the Redemption Amount is equal to the product of 100%, times the principal amount of the notes.

 

Because the Basket Return is –0.0272, the Redemption Amount payable at maturity is equal to $1,000.00 per $1,000 note (reflecting an Additional Amount of 0% per note), the repayment of principal invested, with no additional return.

 

The table below illustrates how the Basket Return in the above example was calculated:

 

 

 

Initial Reference

 

 

 

 

 

 

 

 

 

Currency Rate

 

 

 

Hypothetical

 

 

 

Reference

 

(on Original Trade

 

 

 

Settlement Rate

 

Weighted Currency

 

Currency

 

Date)

 

Weighting

 

(on Valuation Date)

 

Return

 

BRL

 

1.8501

 

20%

 

2.1147

 

–0.0286

 

RUB

 

24.3242

 

20%

 

23.5458

 

0.0064

 

INR

 

39.85

 

20%

 

45.95

 

–0.0306

 

CNY

 

7.3872

 

20%

 

6.2200

 

0.0316

 

KRW

 

928.20

 

20%

 

956.05

 

–0.0060

 

 

 

 

 

 

 

Basket Return =

 

–0.0272

 

 

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